This is what I was thinking, too, racking my brain as to why it was "zȳhe". It is a possessive pronoun, so maybe there's something going on there where it's taking a noun form. The High Valyrian vocabulary I've seen (wiki.dothraki.org) says the possessive pronoun for "his, hers, its" is "zȳhon", a terrestrial(3) noun. If that's correct, then the word should be "zȳhon". If it's supposed to remain an adjective, it should agree as you said, and be "zȳhor".
Zȳhe would agree with ānogar if it was in the accusative (it's the accusative lunar singular of zȳha). However, according to the wiki at least, adjectival predicates should be in the nominative (zȳha), not accusative, so it may well be a mistake.
I think I've seen another example somewhere where the predicate was in the accusative, so perhaps DJB just has a tendency to try and use the accusative in predicates.